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Fundamentals of CLOs

Learn how the securitisation market operates with this thorough overview of the fundamentals of Collateralized Loan Obligations

Fundamentals of CLOs Training Course

A two-day course

  • J Asset Managers
  • Junior Traders
  • Sales Traders
  • Middle office
  • Risk
  • Compliance
  • Anyone wanting to understand who wants to understand how CLOs work and the market they operate in

  • This course covers how the Securitisation Market operates. Content includes the varying structures, rating issues and risks.
  • Covers the origin of the securitisation markets, through ABS structures, to MBS and CLOs, leading to a full and in-depth knowledge of how these securities operate.
  • We look at CLO structured credit, and the underlying CLO Credit Risk of the Asset Pool
  • We discuss the various tranches and their risk and returns.
  • The trainer has experience of the markets in which these products operate, having spent over 10 years as a trader and currently running his own investment portfolio

  • Be introduced to the basics of securitisation, including its definition, the special purpose vehicle, the credit rating process and profit extraction.
  • Get an overview of the different types of securitisation
  • Have explained to them the underlying assets due diligence
  • Master the risk factors including the risk profile of the asset pool and regulatory considerations.
  • Gain an understanding of “The Waterfall” of the security & priority of payments.
  • Understand the different types of securitisation and how they operate.
  • Learn about the life cycle of a CLO
  • Learn about the pricing of each Tranche
  • Understand the “cutting edge” Leveraged CLO Market
  • Appreciate recent regulatory changes around the CLO Market.

Introduction: Securitisation Overview

  • Concept of Securitisation
  • Securitisable Assets
  • Participants in Securitisation
  • True Sale v Synthetic Structure
  • Pool of Assets
  • Special Purpose Vehicle (SPV)
    • Bankruptcy Remoteness
    • Offshore SPV Jurisdictions
  • Tranching, Subordination & Payment Waterfall
  • Credit Rating Process
    • The Rating Agency, Credit Enhancer, Structurer, Trustee

Types of Securitisation

  • True Sale v Synthetic
  • Asset-Backed Securities
    • Car Loans, Credit Cards etc.

Underlying Assets Due Diligence

  • US Securities Act of 1933 Requirements
    • Regulation S Offerings (Reg S)
    • Regulation 144A Offerings (144A)
    • US 10b-5 Legal Opinions
  • Assignability of Assets
    • Novation
    • Assignment

Collateralised Loan Obligations (CLOs)

  • The CLO Credit Risk
    • The Underlying Assets
    • Probability of Default (Credit Risk of the Pool)
  • Types of Tranche in collateralized loans
  • Recent Regulatory Changes
  • Built-in Risk protections
  • The CLO equity Tranche
  • CLO Spreads
  • What are the Risks?

Credit and Liquidity Enhancements

  • Overcollateralisation
  • Subordinated Tranches
  • Credit Enhancements

Case study: CLO Group example

  • We take a look at a CLO issue. Delegates have a series of questions to answer to decide if they would be prepared to invest in any of the tranches.
  • We explore the underlying loans, tranches, returns, risk, etc

The Modern CLO Market

  • CLO Leveraged loans
  • CovLite
  • The Risk in Returns in these structures
  • CLO Owners by Tranch Type
  • CLO Life Cycle
    • Warehousing
    • Ramp-Up
    • Reinvestment
    • Non- Call Period
    • Repayment and Deleverage
    • Built-in risk Protections
    • The CLO Equity Tranche
    • CLO Performance
  • The Current state of the CLO Market

The trainer worked in Investment Banks including HSBC and Bank of Montreal for nearly 20 years. During this time, he worked in Operations and then as a trader, running books in FX, bonds and derivatives.

He has run courses all over the world including Amsterdam, Dublin, London, New York, Hong Kong, Singapore, Jakarta, Johannesburg, Delhi, Accra, Johannesburg etc.

He delivers courses that focus on providing a practical and in-depth understanding of the markets from a Trading, Operations and Risk viewpoint. His courses are interactive and stimulating, offering delegates the opportunity to participate in an environment that encourages free discussion of the real CLO issuance faced in the workplace.

In addition to his training activities, he has undertaken various consultancy projects, such as an in-depth collateral risk assessment at a major European Investment bank.

The trainer held the position of Non-Executive Director of Cazenove’s Derivative Oversight Committee for many years. Acting as CLO analyst and a member of the committee in a general consultative capacity to assess the firm’s derivative capabilities and risks.

He has also presented at JPMorgan Forums in London, speaking on topics such as the Benefits and Risks of Derivatives. He along with representatives from the FSA, law firms, hedge funds, etc. was asked to give their views on the risks of derivatives to 150 / 200 Directors and senior managers from the top investment firms in the UK.

This Understanding Securitisation course is designed to provide a thorough understanding of how this market operates. We look at why securitisation takes place and why different structures are used at different times.

This course is relevant for anyone who wants to understand these complex markets operate. This includes lawyers, operations, traders, compliance, audit, and junior structured finance. This course will also be of relevance to CLO asset management, portfolio managers, hedge funds and investors such as wealth CLO funds, pension funds, and insurance companies looking to invest or be involved in structured CLO finance and securitisation.

The course sets the scene by giving an overview of securitisation. The Securitisation Industry can appear very complex and completely unfathomable. This course seeks to demystify the jargon, explain the structures and demonstrate the risks involved.

We go through the various types of securitisation structures in the market, illustrating the differences and consider the pertinent issues when undertaking due diligence of the underlying assets. We further cover the risk factors that are typically disclosed to investors.

We also look at how these markets are changing and what the newest products look like and the “new risks” they carry.


Have this course presented In-House

  • On a date, time and in a location of your choice
  • Topics expanded or deleted to your bespoke requirements

Have this course pre-recorded

  • Full course recording edited exclusively for your company
  • Files converted to enable housing on your LMS

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